Testing for persistence in stock returns with GARCH-stable shocks

DOI10.1088/1469-7688/4/3/002MaRDI QIDQ4610232zbMATHOpenAlexFDO

Authors Prasad V. Bidarkota, J. Huston McCulloch

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/4/3/002

zbMATH Keywords

GARCHpersistence in stock returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
• Testing the stable Paretian assumption
• Modeling long memory in stock market volatility
• Stable GARCH models for financial time series
• Conditional Heteroskedasticity in Asset Returns: A New Approach

Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• A COMPUTATIONAL METHOD FOR ESTIMATING DENSITIES OF NON-GAUSSIAN NONSTATIONARY UNIVARIATE TIME SERIES
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayesian Inference for Stable Distributions
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Fractional ARIMA with stable innovations
• Long-Term Memory in Stock Market Prices
• Modelling the persistence of conditional variances
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On the relation between GARCH and stable processes
• Recursive Bayesian estimation using Gaussian sums
• Statistical methods in finance
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood

Cited in

(5)

• A characteristic function-based approach to approximate maximum likelihood estimation
• A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
• Stability Testing of Stock Returns Connections
• Permanent shocks, signal extraction, and portfolio selection
• Asset pricing with incomplete information and fat tails

Describes a project that uses

Uses Software

• SYMSTB

This page was built for publication: Testing for persistence in stock returns with GARCH-stable shocks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4610232)